Optimal strategy between extraction and storage of crude oil

Abid, Ilyes; Goutte, Stéphane; Mkaouar, Farid; Guesmi, Khaled

doi:10.1007/s10479-018-2844-9

Cited by 8 publications

(3 citation statements)

References 14 publications

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“…This is the motivation of our paper. Note that similar issues can be encountered in optimization of resource storage systems for natural gasses (Shardin and Szölgyenyi, 2016) and oils (Abid et al, 2019).…”

Section: Introductionmentioning

confidence: 92%

Regime-switching constrained viscosity solutions approach for controlling dam–reservoir systems

Yoshioka

2020

Computers & Mathematics with Applications

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Section: Introductionmentioning

confidence: 92%

Regime-switching constrained viscosity solutions approach for controlling dam–reservoir systems

Yoshioka

2020

Computers & Mathematics with Applications

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“…1 More specifically, we assume a model validation team working in an energy company that seeks to appraise a new model that is being proposed to replace an incumbent model. The model is assumed to be applied for deriving model-based valuation and mark-to-model measurement for a complex non-traded natural gas storage contract.The importance of modelling storage in energy markets is highlighted by Abid et al (2019), Gaïgi et al (2019), Weibelzahl and Märtz (2020) and Goutte et al (2021), with Halvorsen-Weare and Fagerholt (2013) and Ameur et al (2020) highlighting some of the considerations specific to natural gas storage. 2 Storage has become a prominent feature of the natural gas markets.…”

Section: Introductionmentioning

confidence: 99%

Practice-relevant model validation: distributional parameter risk analysis in financial model risk management

et al. 2022

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An objective of model validation within organisations is to provide guidance on model selection decisions that balance the operational effectiveness and structural complexity of competing models. We consider a practice-relevant model validation scenario where a financial quantitative analysis team seeks to decide between incumbent and alternative models on the basis of parameter risk. We devise a model risk management methodology that gives a meaningful distributional assessment of parameter risk in a setting where market calibration and historical estimation procedures must be jointly applied. Such a scenario is typically driven by data constraints that preclude market calibration only. We demonstrate our proposed methodology in a natural gas storage modelling context, where model usage is necessary to support profit and loss reporting, and to inform trading and hedging strategy. We leverage our distributional parameter risk approach to devise an accessible technique to support model selection decisions.

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“…This optimal operational strategy should be conducted on a daily basis while taking into consideration physical, operational, environmental and financial constraints such as the storage capacity, crude oil spot price, total quantity available for possible extraction or maximum amount that could be invested at time t for the extraction choice. In this paper, we propose to extend massively to a much more general case the model initiated in Abid et al (2018) in the case where there are both costs of storage and extraction, cost penalty to sell stored oil and to deal with robustness tests regarding economic, environmental and operational scenarios. We will solve this optimization problem and find the optimal strategy.…”

Section: Introductionmentioning

confidence: 99%

Optimal risk management problem of natural resources: application to oil drilling

et al. 2019

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The aim of this paper is to determine the optimal balance between extraction and storage of a natural resource (in particular crude oil) over time under a large array of environmental, operational and financial constraints for an infinite maturity time. We consider a manager that owns an oil field from which he can extract oil and decides to sell or store it. This operational strategy has to be carried out in continuous time and has to satisfy physical, operational, environmental and financial constraints such as storage capacity, crude oil spot price volatility, amount available for possible extraction or maximum amount that could be invested at time t for the extraction choice. The costs of storage and extraction are also taken into account to better fit the real market scenario. We solve the optimization problem of the manager's profit under this large array of constraints and provide an optimal strategy. We then examine different numerical scenarios to check the robustness and the corresponding optimal strategies given by our model, which is obtained by a numerical approach, with respect to different possible events related to the market, environmental policies or ecological constraints.

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Optimal strategy between extraction and storage of crude oil

Cited by 8 publications

References 14 publications

Regime-switching constrained viscosity solutions approach for controlling dam–reservoir systems

Regime-switching constrained viscosity solutions approach for controlling dam–reservoir systems

Practice-relevant model validation: distributional parameter risk analysis in financial model risk management

Optimal risk management problem of natural resources: application to oil drilling

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